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Understanding Market, Credit, and Operational Risk: The Value at Risk Approach
Hardcover
Business GeneralInvesting & Finance
ISBN13: 9780631227090
Publisher: John Wiley & Sons
Published: Dec 15 2003
Pages: 312
Weight: 1.27
Height: 1.07 Width: 6.00 Depth: 9.16
Language: English
A step-by-step, real world guide to the use of Value at Risk (VaR) models, this text applies the VaR approach to the measurement of market risk, credit risk and operational risk.
The book describes and critiques proprietary models, illustrating them with practical examples drawn from actual case studies. Explaining the logic behind the economics and statistics, this technically sophisticated yet intuitive text should be an essential resource for all readers operating in a world of risk.
- Applies the Value at Risk approach to market, credit, and operational risk measurement.
- Illustrates models with real-world case studies.
- Features coverage of BIS bank capital requirements.
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